Residual autocorrelation testing for vector error correction models
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- Ralf BRUEGGEMANN & Helmut LUETKEPOHL & Pentti SAIKKONEN, 2004. "Residual Autocorrelation Testing for Vector Error Correction Models," Economics Working Papers ECO2004/08, European University Institute.
References listed on IDEAS
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- Helmut Lütkepohl & Ralf Brüggemann, 2006.
"A small monetary system for the euro area based on German data,"
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John Wiley & Sons, Ltd., vol. 21(6), pages 683-702.
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- Arbus, Ignacio, 2009. "Departure from normality of increasing-dimension martingales," Journal of Multivariate Analysis, Elsevier, vol. 100(6), pages 1304-1315, July.
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- Amira El-Shal, 2012. "The Spillover Effects of the Global Financial Crisis on Economic Activity in Emerging Economies – Investigating the Egyptian Case Using the Financial Stress Index," Working Papers 737, Economic Research Forum, revised 2012.
- Poulin, Jennifer & Duchesne, Pierre, 2008. "On the power transformation of kernel-based tests for serial correlation in vector time series: Some finite sample results and a comparison with the bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 52(9), pages 4432-4457, May.
- Ida Wolden Bache, 2008. "Assessing estimates of the exchange rate pass-through," Working Paper 2007/12, Norges Bank.
- Catani, P.S. & Ahlgren, N.J.C., 2017. "Combined Lagrange multiplier test for ARCH in vector autoregressive models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 62-84.
- Helmut Lütkepohl, 2013. "Vector autoregressive models," Chapters,in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 6, pages 139-164 Edward Elgar Publishing.
- Ida Wolden Bache, 2006. "Assessing the structural VAR approach to exchange rate pass-through," Computing in Economics and Finance 2006 309, Society for Computational Economics.
- Park, Byeong U. & Mammen, Enno & HÃ¤rdle, Wolfgang & Borak, Szymon, 2009.
"Time Series Modelling With Semiparametric Factor Dynamics,"
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- Szymon Borak & Wolfgang Härdle & Enno Mammen & Byeong U. Park, 2007. "Time Series Modelling with Semiparametric Factor Dynamics," SFB 649 Discussion Papers SFB649DP2007-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Patilea, V. & Raïssi, H., 2013. "Corrected portmanteau tests for VAR models with time-varying variance," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 190-207.
- Mezgebo, Taddese, 2009. "A multivariate approach for identification of optimal locations with in Ethiopia’s wheat market to tackle soaring inflation on food price," MPRA Paper 18663, University Library of Munich, Germany.
- Jikun Huang & Jun Zhang & Scott Rozelle, 2013.
"The Political Economy of Food Pricing Policy in China,"
- Huang, Jikun & Rozelle, Scott & Yang, Jun, 2013. "The Political Economy of Food Pricing Policy in China," WIDER Working Paper Series 038, World Institute for Development Economic Research (UNU-WIDER).
- Raja Ben Hajria & Salah Khardani & Hamdi Raïssi, 2017. "Testing the lag length of vector autoregressive models: A power comparison between portmanteau and Lagrange multiplier tests," Working Papers 2017-03, Escuela de Negocios y Economía, Pontificia Universidad Católica de Valparaíso.
- repec:spr:stpapr:v:58:y:2017:i:4:d:10.1007_s00362-016-0744-0 is not listed on IDEAS
- Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
More about this item
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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